Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0140
Annualized Std Dev 0.2147
Annualized Sharpe (Rf=0%) -0.0650

Row

Daily Return Statistics

Close
Observations 4001.0000
NAs 1.0000
Minimum -0.1485
Quartile 1 -0.0050
Median 0.0005
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0059
Maximum 0.1359
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0135
Skewness -0.9487
Kurtosis 20.2467

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0095
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.5593
Historical VaR (95%) -0.0185
Historical ES (95%) -0.0340
Modified VaR (95%) -0.0201
Modified ES (95%) -0.0340
From Trough To Depth Length To Trough Recovery
2007-04-04 2009-03-09 NA -0.5593 3516 486 NA
2005-07-29 2005-12-21 2006-10-13 -0.1373 306 102 204
2007-02-16 2007-03-05 2007-04-03 -0.0964 32 11 21
2006-12-15 2007-01-23 2007-02-14 -0.0416 40 24 16
2006-10-24 2006-11-28 2006-12-05 -0.0389 30 25 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA 0 0 0.8 -0.1 1 -0.2 -0.3 1.8 -0.5 2.4
2006 -0.2 1.1 0.9 0.7 0.5 0.5 -0.7 -0.1 0.9 -0.3 -0.4 -0.1 2.9
2007 1 -0.2 -0.5 0.3 0.7 -0.5 0 2.7 0.9 -1.4 1.2 -0.7 3.6
2008 1.3 -1.9 2.9 1.3 1.4 -0.7 -1.1 -0.8 3.8 2.5 -4.9 -1.6 1.7
2009 0.1 -0.9 0.4 -0.4 0.7 -0.9 1.6 -2.8 -2.4 -2 0 -1.2 -7.6
2010 1.4 0.4 1.2 -0.8 -0.8 -1.9 0.2 2.2 -0.1 -0.4 0.1 0.1 1.5
2011 1.3 -0.9 0.5 0.8 -1.2 1.1 0.5 -0.5 -2.8 -2 -0.2 -0.2 -3.6
2012 0.7 1.3 1.3 0.1 -1.6 1.9 0.4 0.3 0.5 1.3 -0.3 1.4 7.3
2013 0.2 0.5 -0.4 -0.5 -1.8 1.4 1.1 0.1 1.2 -0.2 0.8 -1.3 1
2014 -0.5 -0.1 0.6 -0.2 0.2 0.4 -0.9 -0.1 -1 1 -0.9 -3.3 -4.5
2015 -1.2 -0.4 -0.4 0.9 0.1 0.9 0.1 -2.7 0 -0.4 0.6 -0.6 -3.3
2016 -0.1 1.5 0.3 -0.7 0.4 -0.1 -0.3 -0.2 1.3 -0.2 0.4 0.1 2.4
2017 0.2 0.7 0.1 0.4 0.6 0.8 0.6 0.2 0.6 0.2 -0.3 0 4.1
2018 -0.7 -0.8 1.5 0.1 -2 1.9 -0.1 -0.8 0.6 1.1 1.6 2 4.4
2019 -0.7 0.4 0 0.1 -1.6 0.2 -0.8 0.7 -0.6 0.6 -0.2 0.2 -1.9
2020 -1.2 -3.2 -5.1 -1.8 1.2 0.4 -0.3 0.6 1.3 -1.5 1.2 0.3 -7.9
2021 1.2 1.6 0.4 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-04-27  20   SPY    116.  0.0039  1.63e-2 -0.0076   -0.0135   0.0118   0.0769   -0.192 GLD    43.2 -0.0101  -0.0046
2 2005-04-28  20.0 SPY    114. -0.0125 -1.56e-2 -0.0337   -0.0275   0.0122   0.0687   -0.206 GLD    43   -0.0046  -0.0044
3 2005-04-29  20.0 SPY    116.  0.0136  1.60e-3 -0.0187   -0.0143   0.0351   0.0732   -0.186 GLD    43.4  0.0081  -0.0009
4 2005-05-02  20.0 SPY    116.  0.0056  6.00e-4 -0.0088   -0.0149   0.049    0.0661   -0.214 GLD    42.9 -0.0108  -0.0129
5 2005-05-03  20   SPY    117.  0.0017  1.22e-2 -0.0088   -0.0194   0.0397   0.0721   -0.204 GLD    42.8 -0.0028  -0.0202
6 2005-05-04  20   SPY    118.  0.0077  1.60e-2 -0.00580  -0.0148   0.0485   0.0922   -0.195 GLD    42.9  0.0033  -0.0069
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart